There should be an Illustrator ai file choice in the drop down menu when saving a file. If you don’t see any other options in the save as dialog drop down list for file format, It might be that you have an incomplete install of Rhino 4. If you don’t see ai in this list, please check Options>Rhino Options>Plugins to see if you have an Illustrator export plugin present. I would suggest making sure you have the last service release of Rhino 4, SR9 installed as well and if you still have missing standard plugins like this one, I’d run the Rhino installer again choosing ‘repair’.